Problem $4(40$ points$)$ Empirical tests of CAPM

In this question we will use data from Kenneth French website:

https:$//$mba$.$tuck.dartmouth.edu$/$pages$/$faculty$/$ken$.$french$/$data$\_$li brary.html

WRITE THE ANSWERS $($TABLES$/$GRAPHS$/$FORMULAS$)$ BELOW. SUBMIT EXCEL AS A SEPARATE DOCUMENT TO SUPPORT YOUR CALCULATIONS. BUT I NEED TO HAVE TABLES AND FIGURES BELOW.

$($a$)(10$ points$)$Download the $($monthly$)$ data on Fama French factors and $55$ portfolios formed on SIZE and MOMENTUM. Merge them into the same Excel spreadsheet making sure you get the timing correctly.

$($b$)(10$ points$)$ Calculate excess returns for the test portfolios. Calculate mean excess returns for the portfolios, report them here in a $55$ table and the bar chart in this word document as your answer. What are the patterns of expected returns when you go over SIZE and MOMENTUM $($i$.$e$.$ horizontally and vertically in your $5$X$5$ table and graph$)?$

$($c$)(20$ points$)$ Run CAPM regressions for each of these portfolios using SLOPE and INTERCEPT commands. Again, paste the tables and bin$/$bar graphs of CAPM alphas and betas in this Word document as your answer. Does CAPM do a good job in explaining expected returns?

$1$

Problem $4(40$ points$)$ Empirical tests of CAPM

In this question we will use data from Kenneth French website:

https:$//$mba$.$tuck.dartmouth.edu$/$pages$/$faculty$/$ken$.$french$/$data$\_$li brary.html

WRITE THE ANSWERS $($TABLES$/$GRAPHS$/$FORMULAS$)$ BELOW. SUBMIT EXCEL AS A SEPARATE DOCUMENT TO SUPPORT YOUR CALCULATIONS. BUT I NEED TO HAVE TABLES AND FIGURES BELOW.

$($a$)(10$ points$)$Download the $($monthly$)$ data on Fama French factors and $55$ portfolios formed on SIZE and MOMENTUM. Merge them into the same Excel spreadsheet making sure you get the timing correctly.

$($b$)(10$ points$)$ Calculate excess returns for the test portfolios. Calculate mean excess returns for the portfolios, report them here in a $55$ table and the bar chart in this word document as your answer. What are the patterns of expected returns when you go over SIZE and MOMENTUM $($i$.$e$.$ horizontally and vertically in your $5$X$5$ table and graph$)?$

$($c$)(20$ points$)$ Run CAPM regressions for each of these portfolios using SLOPE and INTERCEPT commands. Again, paste the tables and bin$/$bar graphs of CAPM alphas and betas in this Word document as your answer. Does CAPM do a good job in explaining expected returns?

$1$